[JulianCohen]

Amazingly all it needed was for me to write out this post and go have a shower. The answer came to me in a blinding flash! Maybe next time I won’t write the post and just have the shower and see if that also works….it is after all a process of elimination for me most of the time.

[JulianCohen]

I also had problems wading through the maths, in fact I didn’t ha ha. But I read it as they compared the ROC for January over the last 20 years, then Feb for the last 20 years then March etc etc…to give a kind of correlation matrix for each month over the last 20 years. They are then saying you can see a pattern that some months are bullish and some are bearish. That’s my reading of it but I’m open to corrections

[JulianCohen]

This might be a little bit too much for me at the moment coding wise, but you guys might want to play around with this idea:

http://blog.alphaarchitect.com/2016/05/18/return-seasonalities-are-everywhere/#gs.LozC_Oo

[JulianCohen]

I’ll go back and look it up. Thanks Craig

[JulianCohen]

Just a quick question. When do you use OpenInt as opposed to Close?

[JulianCohen]

I hope to make it. I will be in Abu Dhabi and they frown on anything that circumvents their own telecoms, what’s app calls, FaceTime and Skype don’t work. Hopefully this will.

[JulianCohen]

I just read the Dual Momentum book. Basically I think it can be summed up as follows:

Compare ROC(252) of SPY index against a world index ETF…he suggests VEU

If the higher of either is higher than the ROC(252) of BIL, a bond index ETF, then buy the stock ETF. Otherwise buy the Bond ETF. Recheck each month.

That’s it…keep it simple :cheer:

It can easily be adapted to compare other index ETFs against each other etc…

It could be added to a system as an additional unit.

I’m quite a way behind you guys in coding but happy to test and contribute if I can

[JulianCohen]

It always makes sense when you know how to do it

You have been a great help. Thank you

[JulianCohen]

Thanks Said so much…it’s 95% there now. I should be able to tweak the rest. Appreciate the help VERY much. I was getting a massive headache!

[JulianCohen]

So remove it from the looping completely?

[JulianCohen]

I want the stop to stay in one place.

I will buy one tic over the top of the set up bar and create a stop loss 1 tic below the set up bar. That S/L will stay in place until hit or the C>SMA exit works.

That’s what I am trying to do…

[JulianCohen]

Trent…It makes sense but it didn’t work haha…Thanks anyway. It’s given me another 1000 things to try

[JulianCohen]

You’re right…Appreciate it.

[JulianCohen]

Thanks Trent…doesn’t this code in the looping cover that occurrence?

if (LBIT[j]>1 AND LEx[j]) //Exit on SMA
{
Sell[j] = True;
SellPrice[j] = Max(Open[j],SMA[j-1]);
PriceAtBuy = 0;

It appears to be working correctly at first glance but I got so hung up with trying to work out the initial stop I haven’t had a good look at that yet.

[JulianCohen]

With this code my trailing stop is always either 0 or 1 and I can’t figure out why. What painfully obvious thing am I missing?

Code:

//=================================================================================
//Entry and Exit Signals
//=================================================================================

Cond1 = L < Ref(L,-1); Cond2 = BullDB > ClsSt;
Cond3 = H < SMA; Cond4 = C > SMA;
Cond5 = OptFilt AND IndexUp AND UniverseFilter AND HDBFilter; //All the optional filters

OnLastTwoBarsOfDelistedSecurity = BarIndex() >= (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));
OnSecondLastBarOfDelistedSecurity = BarIndex() == (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));

BuySetUp = Cond1 AND Cond2 AND Cond3 AND Cond5;
Buy = Ref(BuySetUp,-1);
BuyStop = H + 0.01;
SellStop = L – 0.01;

LE = Ref(BuySetUp,-1) AND H >=Ref(BuyStop,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;// TRIGGER BAR Entry is all conditions fulfilled and above the BuyStop
LEPrice = Max(Open,Ref(BuyStop,-1)); //Entry Price

LEx = C > SMA; //Long Exit
LIS = Ref(BuySetUp,-1) AND L <=Ref(SellStop,-1) AND NOT OnLastTwoBarsOfDelistedSecurity; //Initial stop a tic below SetUpBar //-------------------------------------------------------------------------- //MCS code part 2 if(MCP) LE = LE && Random()*100>=MCP; // Identifier MUST match the Identifier in the trigger bar line above
//————————————————————————–

//=================================================================================
//Looping
//=================================================================================
Buy = 0;
Sell = 0;
PriceAtBuy = 0;
LBIT = 0;
LStop = Null;
//=================================================================================
for (j = 1; j < BarCount; j++) { if (PriceAtBuy==0 AND LE[j]) { Buy[j] = True; PriceAtBuy = LEPrice[j]; BuyPrice[j] = LEPrice[j]; LStop[j] = LIS[j-1]; LStop[j-1] = LIS[j-1]; LBIT[j] = 1; if (LBIT[j]>1 AND L[j] <= LStop[j-1]) { Sell[j] = True; SellPrice[j] = LStop[j-1]; PriceAtBuy = 0; } } else if (PriceAtBuy > 0)
{
LBIT[j] = LBIT[j-1]+1;

if (LBIT[j]>1)
{
LStop[j] = LStop[j-1];
}

if (LBIT[j]>1 AND L[j] <= LStop[j-1]) { Sell[j] = True; SellPrice[j] = LStop[j-1]; PriceAtBuy = 0; } if (LBIT[j]>1 AND LEx[j]) //Exit on SMA
{
Sell[j] = True;
SellPrice[j] = Max(Open[j],SMA[j-1]);
PriceAtBuy = 0;
}
}
}

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